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Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty
Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 170-189
(such as random walk, recursive OLS-AR(1) models, recursive OLS with all predictive variables models) but also the Bayesian …
Persistent link: https://www.econbiz.de/10010777014
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Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty
Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - Department of Economics, Faculty of Economic and … - 2013
(such as random walk, recursive OLS-AR(1) models, recursive OLS with all predictive variables models) but also the Bayesian …
Persistent link: https://www.econbiz.de/10010711932
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Forecasting the Price of Gold Using Dynamic Model Averaging
Aye, Goodness; Gupta, Rangan; Hammoudeh, Shawkat; Kim, … - Institut de Préparation à l'Administration et à la … - 2014
linear model (such as random walk) but also the Bayesian model averaging (BMA) model for examining possible predictors of the …’s financial stress index appear to be strong at almost all horizons and sub-periods. However, the forecasting prowess of the …
Persistent link: https://www.econbiz.de/10010891025
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Forecasting the Price of Gold Using Dynamic Model Averaging
Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - Department of Economics, Faculty of Economic and … - 2014
linear model (such as random walk) but also the Bayesian model averaging (BMA) model for examining possible predictors of the …’s financial stress index appear to be strong at almost all horizons and sub-periods. However, the forecasting prowess of the …
Persistent link: https://www.econbiz.de/10010891726
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Forecast Evaluation of Explanatory Models of Financial Variability
Sucarrat, Genaro - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-8, pp. 1-33
A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...
Persistent link: https://www.econbiz.de/10010332964
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Forecast Evaluation of Explanatory Models of Financial Variability
Sucarrat, Genaro - In: Economics - The Open-Access, Open-Assessment E-Journal 3 (2009), pp. 1-33
A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...
Persistent link: https://www.econbiz.de/10005082938
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Forecasting exchange rates: The time-varying relationship between exchange rates and Taylor rule fundamentals
Haskamp, Ulrich - 2017
literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …
Persistent link: https://www.econbiz.de/10011701312
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Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals
Haskamp, Ulrich - 2017
literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …
Persistent link: https://www.econbiz.de/10011700704
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011490150
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395